Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0856
Annualized Std Dev 0.2014
Annualized Sharpe (Rf=0%) 0.4250

Row

Daily Return Statistics

Close
Observations 4487.0000
NAs 1.0000
Minimum -0.1195
Quartile 1 -0.0048
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0064
Maximum 0.1357
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0127
Skewness -0.5618
Kurtosis 14.2523

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0086
Loss Deviation 0.0106
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.5340
Historical VaR (95%) -0.0189
Historical ES (95%) -0.0311
Modified VaR (95%) -0.0188
Modified ES (95%) -0.0339
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2013-03-20 -0.5340 1431 416 1015
2018-09-24 2020-03-23 2020-12-15 -0.4065 562 376 186
2015-07-17 2016-02-08 2016-11-17 -0.1955 337 141 196
2014-07-24 2014-10-15 2014-11-24 -0.1240 87 59 28
2021-02-16 2021-03-04 NA -0.1047 25 13 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA 1.3 0.5 -1 0.8 1.6 0.5 0.8 0.6 5.1
2004 -0.1 1 1 -0.3 0.5 -1.3 0.4 0.7 0.9 0.2 1.4 -0.1 4.5
2005 1.3 0.4 -0.5 1 0.8 0.6 0.2 -0.2 0.5 -0.1 1.4 -0.9 4.5
2006 0.3 0.9 -0.2 0.4 1.4 0.2 -0.8 0.5 -0.4 -0.8 -0.2 -0.6 0.5
2007 0.7 -0.1 -0.2 0.2 0.5 -0.3 0.3 0.8 1.1 -2.1 0.9 -0.7 0.9
2008 2 -2.5 2.8 1.6 0.2 -0.2 -0.2 -1.2 -0.7 1.6 -7.9 1.7 -3.3
2009 -2.4 -1.3 1.4 0.9 2.1 0.7 -0.2 -1.5 -2.1 -2.8 1 -1.1 -5.3
2010 1.4 1.5 0.4 -2.1 -2.5 -0.6 -0.1 3 0.4 -0.1 2.1 -0.1 3.2
2011 1.6 -1.2 0.7 0.1 -2.1 1.4 -0.6 -1.2 -1.6 -3.5 1.2 -0.3 -5.5
2012 1.4 0.8 0.3 0.6 -2.7 3.1 -0.2 0.5 0.2 1.2 0.1 1.8 7.3
2013 1 0.2 -0.4 -1.2 -0.7 0.6 1.5 -0.8 0.7 -0.6 0 0.3 0.6
2014 -0.2 0.4 1 -0.2 -0.1 1.1 0.1 0.3 -2.5 1.5 -1.9 -0.8 -1.3
2015 -1.3 -0.3 -0.5 1.9 0.4 0.5 0.1 -2.9 0.3 -0.1 0.7 -0.8 -2.1
2016 0.7 1.7 0.1 -2.2 0.4 0.2 -0.5 0.1 0.8 -0.9 -1 -0.6 -1.2
2017 0 1.6 0.7 -0.2 1.5 0.4 -0.2 0.8 0.3 -0.3 -1 0.1 3.8
2018 -0.1 -1 1.2 -0.1 0.9 0.1 -0.4 0.2 -0.1 0.6 0.4 1.1 2.9
2019 0.2 0.8 1.2 -1.2 -1.9 1.2 -1.4 0 -1.4 1.1 -0.7 0.1 -2
2020 -2.4 -2.4 -5.3 -2.2 0.1 0 0.4 0.6 0.2 -1.3 0.7 -0.6 -11.7
2021 1.5 3.3 0.9 NA NA NA NA NA NA NA NA NA 5.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart